Obstacle problem for SPDE with nonlinear Neumann boundary condition via reflected generalized backward doubly SDEs
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Publication:1950719
DOI10.1016/j.spl.2012.11.004zbMath1267.60070arXiv0810.0436OpenAlexW2953222667MaRDI QIDQ1950719
Publication date: 13 May 2013
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0810.0436
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic integral equations (60H20)
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Multivalued stochastic partial differential-integral equations via backward doubly stochastic differential equations driven by a Lévy process ⋮ Continuity of the Feynman–Kac formula for a generalized parabolic equation ⋮ Probabilistic interpretation for solutions of fully nonlinear stochastic pdes ⋮ Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process ⋮ On the continuity of the probabilistic representation of a semilinear Neumann-Dirichlet problem ⋮ Reflected backward stochastic differential equations with time-delayed generators ⋮ Reflected solutions of generalized anticipated backward double stochastic differential equations
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